Is Real Estate Really an Inflation Hedge? Evidence from Taiwan*

This study examines whether Taiwan's housing returns hedge against expected and unexpected inflation. In other words, how well does the rise in housing returns compensate for the costs added as a result of the shrink in wealth and purchasing power? Within the exponential generalized autoregressive conditional heteroskedasticity in mean model framework, we further explore the impact of conditional hetero‐risk on housing return and the influence of asymmetric information on conditional risk. Over the period from 1991 to 2006, the empirical results reveal negative relationships between housing returns and expected as well as unexpected inflation, proving the ineffective inflation hedge of Taiwan's housing investment. The determinant of this phenomenon is the leverage shock between ‘good news’ and ‘bad news’.     

Optimal Processes Management for Over-Adjusted Process with Dependent Steps on Bank Industry

Process management is important for a company. An over-adjusted process may increase process quality variability, ultimately affecting the quality and cost of service or products. A two special-cause economic over-adjustment model is developed for controlling the service quality variation of the two-step process on a bank industry. The objective is to determine the optimal management policy for the two-step process, which minimizes the service quality variation and total quality control cost. A Markov chain approach is extended to derive the economi c adjustment model of the process, and the optimal management policy is obtained from optimization techniques. Application of the two special-cause over-adjusted model and the optimal management policy on the process management of a bank industry is demonstrated through an example.     

Assessing value at risk with CARE, the Conditional Autoregressive Expectile models

In this paper we propose a downside risk measure, the expectile-based Value at Risk (EVaR), which is more sensitive to the magnitude of extreme losses than the conventional quantile-based VaR (QVaR). The index θ of an EVaR is the relative cost of the expected margin shortfall and hence reflects the level of prudentiality. It is also shown that a given expectile corresponds to the quantiles with distinct tail probabilities under different distributions. Thus, an EVaR may be interpreted as a flexible QVaR, in the sense that its tail probability is determined by the underlying distribution. We further consider conditional EVaR and propose various Conditional AutoRegressive Expectile models that can accommodate some stylized facts in financial time series. For model estimation, we employ the method of asymmetric least squares proposed by Newey and Powell [Newey, W.K., Powell, J.L., 1987. Asymmetric least squares estimation and testing. Econometrica 55, 819–847] and extend their asymptotic results to allow for stationary and weakly dependent data. We also derive an encompassing test for non-nested expectile models. As an illustration, we apply the proposed modeling approach to evaluate the EVaR of stock market indices.     

An encompassing test for non-nested quantile regression models

We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic χ² distribution. It is also shown that the proposed test is a regression rank score test in a comprehensive model under conditional homogeneity. Our simulation results indicate that the proposed test performs very well in finite samples.     

中国能源消费与服务业增长关系研究

服务业繁荣与否已经成为评判经济发达程度的重要标志。因此,进一步深入探究服务业能源消耗和经济增长之间的关系对优化产业结构、促进服务产业健康可持续发展和生态文明建设具有重要意义。本文基于中国1980—2014年服务行业能源消费和经济发展数据,应用协整理论、分位数回归、Granger检验和时变参数模型对服务业具体行业能源消费和经济增长之间关系进行了静态和动态分析,并且在Tapio脱钩评价模型框架内,对样本期内服务业能源消费与经济增长之间的脱钩状态进行了总体评价。研究表明:能源消费和服务业经济增长之间存在长期不断变化的均衡非线性关系;在较高经济增长水平下,能源消费对经济增长的贡献弹性比较小,不同服务行业在不同分位数水平下能源贡献弹性差异明显;能源消费和经济增长之间的Granger原因在不同服务行业不同;服务行业能源消费和经济增长的脱钩状态虽然总体上都处于弱脱钩状态,但有从弱脱钩状态向扩张连结和扩张负脱钩状态转移的趋势。基于研究结论,本文提出了相应的对策建议。     

精益计分制绩效管理模式的运用

本文探讨了福州电业局为全面推进人力资源优化配置、切实解决结构性缺员问题,对生产一线班组工作业务实行的精益计分制绩效管理模式,以期对其它企业有所借鉴。     

The Cross-Section of Stock Returns on The Shanghai Stock Exchange

This study explores the cross-sectional stock return behavior on the A-share market of the Shanghai Stock Exchange (SSE), which is segmented from world's other equity markets. We estimate the effects of beta, firm size, book-to-market equity ratio and a variable unique to the Chinese stock markets, the proportion of firm's floating (tradable) equity over total equity on SSE stocks over the period 1993–2002. We find that smaller firms and value stocks perform better. Systematic risk is negatively significant in down markets. The proportion of floating equity has no direct effect on stock returns. JEL Classification: G14, G15     

Effects of Location Diversification and Corporate Governance on Multinational Enterprises' Financial Performance and Risk‐taking: Evidence from Taiwanese Enterprises

This study investigates the location choice performance of foreign direct investment (FDI) originating from small‐ and medium‐sized multinational enterprises established in newly industrialized economies. In this study we integrate location diversification, breadth and corporate governance to examine the performance of Taiwanese enterprises investing in Chinese mainland. Examining Taiwanese manufacturing enterprises from foundational, traditional and high‐technology aspects, our findings demonstrate the following: (i) diversifying the location choice negatively affects the return of assets; (ii) investments in regions with an abundant population positively affect the performance of Taiwanese traditional manufacturing enterprises; and (iii) a higher percentage of insider holdings in Taiwanese enterprises results in better FDI performance. We conclude that the performance of FDI originating from Taiwanese enterprises varies depending on industrial and governance characteristics. We suggest that the location choice for Taiwan FDI in Chinese mainland should be determined by the characteristics of the industry. Chinese mainland should attract multinational enterprises from emerging markets according to the characteristics of regions.     

监理企业核心竞争力的培育

在分析监理企业核心竞争力和人力资源培训的基础上，研究了核心竞争力与人力资源培训之间的密切关系，进而探讨了通过培训来提升企业核心竞争力的途径。特别指出了很多监理企业在员工培训工作中存在的误区，提出了建立培训激励机制及进行以总监、团队为核心的重点培训等建议，有利于监理企业迅速提升核心竞争力。     

The social welfare implications, decomposability, and geometry of the Sen family of poverty indices

In this paper, we propose a unified framework for the Sen indices of poverty intensity that shows an explicit connection between the indices and the common underlying social evaluation function. We also identify the common multiplicative decomposition of the indices that allows simple and similar geometric interpretations and easy numerical computation. JEL Classification: C000, H000, O150
Implications en termes de bien-être collectif, décomposabilité et géométrie de la famille d'indices de pauvretéà la Sen . Dans ce mémoire, les auteurs proposent un cadre d'analyse intégré des indices d'intensité de pauvretéà la Sen qui souligne la relation explicite entre ces indices et la fonction sociale d'évaluation commune qui les soustend. Les auteurs identifient aussi la décomposition multiplicative commune de ces indices qui permet d'en donner des interprétations géométriques simples et idoines et de faire des calculs numériques faciles.